This Internet Appendix contains mathematical and empirical results on the market timing induced bias in Jensen's alpha using conditional models with time-varying skill in the spirit of Kacperczyk et al. (2014).Full paper available at "https://ssrn.com/abstract=1253923"...

Researchers use difference-in-differences models to evaluate the causal effects of policy changes. As the empirical correlation across firms and time can be ambiguous, estimating consistent standard errors is difficult and statistical inferences may be biased. We apply an approximate permutation...

Theory predicts that market timing in managed portfolios biases Jensen's alpha. However, empirical studies have failed to find evidence this bias actually exists. We tackle this puzzle by showing via a nested model approach and various simulations that, for the bias to become economically...

This article analyses the impact of market climates on the Sharpe ratios (SRs) of funds. On the basis of a common factor model, we derive analytically how market climates impact the SR ndash; taking into account the abilities of fund managers. This applies especially to the mean of the market...